IWC Options History — March 2015

In March 2015, IWC traded between $76.94 and $80.62. ATM implied volatility averaged 16.7%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.8% (HV 20d: 11.9%). Max pain ranged from $67.00 to $80.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.35.

Notable Days

  • 2015-03-04: Highest Volume — 1,444 contracts
  • 2015-03-25: Largest IV spike — 37.6% change
  • 2015-03-10: Highest IV Rank — 38.0%
  • 2015-03-11: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.73$76.94$80.62$78.67$79.18
Max Pain$73.82$67.00$80.00$69.00$80.00
ATM IV16.7%13.0%20.1%14.2%17.2%
Expected Move4.8%3.7%5.6%4.1%4.9%
HV 20d11.9%8.7%16.5%10.8%16.3%
HV 60d16.9%15.6%18.2%18.2%17.1%
IV Rank19.9%0.0%38.0%6.4%22.3%
IV Percentile24.5%0.0%72.6%0.4%25.4%
Term Structure1.8%0.5%3.8%1.6%1.1%
VWIV16.5%10.3%21.0%21.0%16.2%
Skew 25d5.1%3.3%6.2%3.3%4.6%
Skew 10d13.4%8.2%17.2%14.9%13.3%
Call IV 25d14.7%11.7%16.6%13.2%15.2%
Put IV 25d19.8%16.5%22.4%16.5%19.8%
Bid-Ask Spread %77.0067.0987.1675.5887.16
Gamma HHI0.350.210.530.210.48
Net GEX630.0K-233.6K1.2M1.0M-200.9K
Net DEX-25.9M-39.3M-284.6K-36.2M-1.4M
Net VEX-15.8K-23.8K-10.4K-23.8K-15.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.0027.040.921.66
Total Volume515.77321,4441,429659
Total OI6,331.6361,0319,2818,0231,593

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$78.67$69.0014.2%4.1%10.8%6.4%21.0%3.3%1.6%1.0M-36.2M-23.8K0.9275.58N/AN/A7466835,4872,536
2015-03-03$78.07$69.0016.5%4.7%11.4%18.7%15.3%4.2%0.8%1.1M-35.9M-21.2K0.9379.32N/AN/A7436935,4843,040
2015-03-04$78.05$69.0016.4%4.7%10.6%18.1%18.3%4.2%1.9%1.1M-35.5M-21.3K0.9578.28N/AN/A7407045,4753,050
2015-03-05$78.39$67.0016.2%5.0%9.9%17.2%18.2%5.7%1.8%1.1M-36.6M-19.0K0.9667.09N/AN/A7337045,4753,061
2015-03-06$77.60$67.0017.5%5.3%8.9%24.0%16.0%5.5%1.8%1.1M-34.6M-23.1K0.9773.50N/AN/A7237045,4753,061
2015-03-09$77.97$67.0017.3%5.1%8.7%23.2%18.4%4.7%2.1%1.0M-36.7M-15.4K0.1668.75N/AN/A1935,4723,061
2015-03-10$76.94$70.0020.1%5.4%9.9%38.0%16.9%5.7%1.5%1.2M-33.3M-22.2K0.0271.14N/AN/A4315,4813,064
2015-03-11$77.40$74.0019.5%5.6%10.0%34.6%0.0%6.2%1.3%1.1M-34.9M-17.7K0.2071.72N/AN/A515,4913,065
2015-03-12$78.67$74.0017.1%4.9%11.3%21.9%0.0%6.2%2.5%724.0K-38.5M-12.6K0.0070.01N/AN/A2505,4913,065
2015-03-13$78.61$74.0017.3%5.0%11.0%22.9%15.7%5.5%2.0%829.9K-37.9M-14.0K0.3671.16N/AN/A1145,4923,065
2015-03-16$78.77$74.0017.6%5.0%10.9%24.4%19.6%6.0%2.1%716.4K-38.6M-12.5K27.0470.01N/AN/A267035,5023,064
2015-03-17$79.07$74.0017.5%5.0%10.9%24.3%0.0%5.1%2.3%657.0K-39.3M-11.3K0.0472.14N/AN/A2615,5143,767
2015-03-18$79.52$74.0015.5%4.4%11.0%13.2%0.0%5.9%2.5%830.8K-37.8M-10.8K6.6784.38N/AN/A3205,2523,768
2015-03-19$80.14$74.0015.3%4.4%11.2%12.4%15.9%4.9%3.0%1.1M-38.8M-10.4K0.0178.93N/AN/A42365,2533,788
2015-03-20$80.49$74.0014.4%4.1%11.2%7.5%15.7%5.2%3.8%239.4K-38.7M-11.7K1.2984.05N/AN/A62805,2123,794
2015-03-23$80.34$78.0014.5%4.2%11.2%8.0%0.0%4.5%2.1%218.5K-4.3M-12.5K0.0082.19N/AN/A20900179
2015-03-24$80.62$78.0013.0%3.7%11.2%0.0%0.0%5.0%2.4%217.2K-4.4M-12.3K0.4084.29N/AN/A52900179
2015-03-25$78.04$78.0017.9%5.1%16.4%26.2%10.3%4.7%1.2%207.6K-3.2M-12.7K0.0081.12N/AN/A0505850181
2015-03-26$77.94$80.0018.0%5.2%16.3%26.7%14.8%5.2%0.5%-108.0K-526.2K-16.0K2.6776.88N/AN/A239638916682
2015-03-27$78.36$80.0017.8%5.1%16.3%25.5%0.0%3.9%0.8%-142.6K-284.6K-15.4K0.0080.29N/AN/A03847682
2015-03-30$79.31$80.0017.2%4.9%16.5%22.4%16.0%5.5%0.5%-233.6K-1.5M-15.4K1.6686.05N/AN/A248411897685
2015-03-31$79.18$80.0017.2%4.9%16.3%22.3%16.2%4.6%1.1%-200.9K-1.4M-15.4K1.6687.16N/AN/A248411908685